How did you update to 6.3? I'm on a custom Kubuntu derivative and I can't find a working repository.Not looking forward to compiling GCC first

It's not actually GCC that's the problem, it's the libstdc++ headers, so if you build a new GCC you need to make it build against an updated libstdc++ or it won't solve anything. It's pretty easy to build GCC and make it install to an alternate path. Just add something like this to whatever other configure options you need:

make is not found in the plain cmd. I suppose I have to run win32env.bat in msys64 first, then go to the mame folder.

Browse to folder containing solution file and open it with Visual Studio

I have no idea what a solution file is; sorry, utter newbie, as I said. Google said these are files with suffix .sln, so I searched the mame folder for such a file and got 24 of them. The one that sounds most promising, mame.sln, is located in a deep subdirectory (C:\prg\mame\build\projects\windows\mame\vs2015); is that the one to be opened?